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by pcaspers
October 24th, 2005, 12:35 pm
Forum: Student Forum
Topic: G2-Model Questions
Replies: 0
Views: 131434

G2-Model Questions

<t>Hi,I implemented an G2-Model using the trinomial tree building procedure described in "Interest Rate Models in Theoryand Practice" by Brigo/Mercurio and observed two things that confuse me:1. There are usually many nodes with negative probabilities (because rho is far from being zero (rather -90%...
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